aidev
143 lines
5.1 KiB
Java
143 lines
5.1 KiB
Java
/*
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* SPDX-License-Identifier: MIT
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*/
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package ta4jexamples.backtesting;
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import org.apache.logging.log4j.LogManager;
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import org.apache.logging.log4j.Logger;
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import org.ta4j.core.*;
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import org.ta4j.core.backtest.BarSeriesManager;
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import org.ta4j.core.criteria.pnl.GrossReturnCriterion;
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import org.ta4j.core.indicators.averages.SMAIndicator;
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import org.ta4j.core.indicators.helpers.ClosePriceIndicator;
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import org.ta4j.core.num.DecimalNum;
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import org.ta4j.core.num.Num;
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import org.ta4j.core.rules.OverIndicatorRule;
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import org.ta4j.core.rules.UnderIndicatorRule;
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import java.time.Duration;
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import java.time.Instant;
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import java.time.ZoneOffset;
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import java.time.ZonedDateTime;
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public class SimpleMovingAverageBacktest {
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private static final Logger LOG = LogManager.getLogger(SimpleMovingAverageBacktest.class);
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public static void main(String[] args) throws InterruptedException {
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BarSeries series = createBarSeries();
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Strategy strategy3DaySma = create3DaySmaStrategy(series);
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BarSeriesManager seriesManager = new BarSeriesManager(series);
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TradingRecord tradingRecord3DaySma = seriesManager.run(strategy3DaySma, Trade.TradeType.BUY,
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DecimalNum.valueOf(50));
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LOG.debug(tradingRecord3DaySma.toString());
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Strategy strategy2DaySma = create2DaySmaStrategy(series);
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TradingRecord tradingRecord2DaySma = seriesManager.run(strategy2DaySma, Trade.TradeType.BUY,
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DecimalNum.valueOf(50));
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LOG.debug(tradingRecord2DaySma.toString());
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var criterion = new GrossReturnCriterion();
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Num calculate3DaySma = criterion.calculate(series, tradingRecord3DaySma);
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Num calculate2DaySma = criterion.calculate(series, tradingRecord2DaySma);
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LOG.debug(calculate3DaySma.toString());
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LOG.debug(calculate2DaySma.toString());
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}
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private static BarSeries createBarSeries() {
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final var series = new BaseBarSeriesBuilder().build();
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series.barBuilder()
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.timePeriod(Duration.ofDays(1))
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.endTime(createDay(1))
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.openPrice(100.0)
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.highPrice(100.0)
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.lowPrice(100.0)
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.closePrice(100.0)
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.volume(1060)
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.add();
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series.barBuilder()
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.timePeriod(Duration.ofDays(1))
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.endTime(createDay(2))
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.openPrice(110.0)
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.highPrice(110.0)
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.lowPrice(110.0)
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.closePrice(110.0)
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.volume(1070)
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.add();
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series.barBuilder()
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.timePeriod(Duration.ofDays(1))
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.endTime(createDay(3))
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.openPrice(140.0)
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.highPrice(140.0)
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.lowPrice(140.0)
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.closePrice(140.0)
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.volume(1080)
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.add();
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series.barBuilder()
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.timePeriod(Duration.ofDays(1))
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.endTime(createDay(4))
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.openPrice(119.0)
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.highPrice(119.0)
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.lowPrice(119.0)
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.closePrice(119.0)
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.volume(1090)
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.add();
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series.barBuilder()
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.timePeriod(Duration.ofDays(1))
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.endTime(createDay(5))
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.openPrice(100.0)
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.highPrice(100.0)
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.lowPrice(100.0)
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.closePrice(100.0)
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.volume(1100)
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.add();
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series.barBuilder()
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.timePeriod(Duration.ofDays(1))
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.endTime(createDay(6))
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.openPrice(110.0)
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.highPrice(110.0)
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.lowPrice(110.0)
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.closePrice(110.0)
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.volume(1110)
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.add();
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series.barBuilder()
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.timePeriod(Duration.ofDays(1))
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.endTime(createDay(7))
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.openPrice(120.0)
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.highPrice(120.0)
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.lowPrice(120.0)
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.closePrice(120.0)
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.volume(1120)
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.add();
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series.barBuilder()
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.timePeriod(Duration.ofDays(1))
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.endTime(createDay(8))
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.openPrice(130.0)
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.highPrice(130.0)
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.lowPrice(130.0)
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.closePrice(130.0)
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.volume(1130)
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.add();
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return series;
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}
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private static Instant createDay(int day) {
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return ZonedDateTime.of(2018, 01, day, 12, 0, 0, 0, ZoneOffset.UTC).toInstant();
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}
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private static Strategy create3DaySmaStrategy(BarSeries series) {
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var closePrice = new ClosePriceIndicator(series);
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var sma = new SMAIndicator(closePrice, 3);
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return new BaseStrategy(new UnderIndicatorRule(sma, closePrice), new OverIndicatorRule(sma, closePrice));
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}
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private static Strategy create2DaySmaStrategy(BarSeries series) {
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var closePrice = new ClosePriceIndicator(series);
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var sma = new SMAIndicator(closePrice, 2);
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return new BaseStrategy(new UnderIndicatorRule(sma, closePrice), new OverIndicatorRule(sma, closePrice));
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}
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}
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